沪深300股指期货套利风险控制与监测研究

Research on Risk Control and Monitoring of Futures Spread on CSI 300 Stock Index

在对沪深300股指期货的套利原理、套利策略、套利风险因素进行详细分析的基础上,构建ETF组合拟合沪深300指数作为现货组合,对交易最频繁的期货期现套利进行实证研究。由于多数金融数据存在较明显的"尖峰厚尾"现象,采用改进后的德尔塔——正态法对沪深300股指期货期现套利进行研究,结果表明采用ETF组合的方案简便可行,对于沪深指数的跟踪误差在可接受范围之内。

Based on the detailed analysis of the principle,strategy,risk factor of interest arbitrage on CSI300 stock index,the construction of ETF combination fitting CSI 300 stock index as Spot portfolio and do empirical research on the most frequent Futures arbitrage.Because most of the financial data stored in the obvious ＂fat tail＂ phenomenon,the improved delta normal method of CSI 300 stock index futures arbitrage research,the results show that the ETF scheme is simple and feasible;the tracking error of the Shanghai index is in the acceptable range.